Industry Talk: The Importance Of Being Scrambled: Supercharged Quasi Monte Carlo
05 Oct 2023
About the event
Quasi Monte Carlo (QMC) methods based on Sobol’ sequences have been used extensively in financial applications for almost 30 years due to their superior convergence rates over Monte Carlo (MC). However; unlike MC; QMC lacks a practical error estimate. A randomized QMC (RQMC) method combines the best of two methods. RQMC based on scrambled Sobol’ sequences demonstrate the superior performance over standard QMC showing increased convergence rates and providing practical error bounds around the estimated values. This talk will compare different scrambling methods and applications of RQMC in finance.
Part of the Fitch Group, Fitch Learning partners with clients to enhance knowledge, skills and conduct. Fitch Learning is a global leader in training with experience of delivering specialised technical training at all levels to the financial community. Fitch Learning partner with clients to elevate knowledge and skills and enhance conduct.
We work with 9 out of 10 of each of the largest Investment Banks, Asset Managers and Global Banks and through state-of-the-art training centres in London, New York, Hong Kong, Singapore and Dubai, and our leading distance learning portals, we train more than 20,000 delegates each year.
